Fair Value Of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Carrying Amount and Fair Value of Financial Instruments

The following table summarizes the carrying amount and the fair value of our financial instruments as of September 30, 2014:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans, other loans and preferred equity interests, net	$	1,354,120	$	1,283,719
Investments in securities and security-related receivables		568,279		568,279
Cash and cash equivalents		116,767		116,767
Restricted cash		133,374		133,374
Derivative assets		732		732
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		33,297		40,062
4.0% convertible senior notes		133,752		134,308
7.625% senior notes		60,000		57,624
7.125% senior notes		71,905		71,013
Secured credit facilities		5,000		5,000
Junior subordinated notes, at fair value		13,048		13,048
Junior subordinated notes, at amortized cost		25,100		14,648
CMBS facilities		159,171		159,171
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,084,289		919,924
CDO notes payable, at fair value		431,142		431,142
CMBS securitizations		215,518		215,527
Loans payable on real estate		381,095		398,517
Derivative liabilities		81,998		81,998
Warrants and investor SARs		29,731		29,731

The following table summarizes the carrying amount and the fair value of our financial instruments as of December 31, 2013:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans, other loans and preferred equity interests	$	1,122,377	$	1,083,118
Investments in securities and security-related receivables		567,302		567,302
Cash and cash equivalents		88,847		88,847
Restricted cash		121,589		121,589
Derivative assets		1,305		1,305
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		32,938		47,778
4.0% convertible senior notes		116,184		124,063
Secured credit facilities		11,129		11,129
Junior subordinated notes, at fair value		11,911		11,911
Junior subordinated notes, at amortized cost		25,100		14,007
CMBS facilities		37,749		37,749
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,202,772		724,885
CDO notes payable, at fair value		377,235		377,235
CMBS securitization		100,139		100,214
Loans payable on real estate		171,244		176,979
Derivative liabilities		113,331		113,331
Warrants and investor SARs		31,304		31,304

Information of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of September 30, 2014, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Assets:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance as of September 30, 2014
Trading securities
TruPS	$	0	$	0	$	489,938	$	489,938
Other securities		0		0		0		0
Available-for-sale securities		0		630		0		630
Security-related receivables
TruPS receivables		0		0		7,683		7,683
Unsecured REIT note receivables		0		32,532		0		32,532
CMBS receivables		0		36,435		0		36,435
Other securities		0		1,061		0		1,061
Derivative assets		0		732		0		732
Total assets	$	0	$	71,390	$	497,621	$	569,011

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance as of September 30, 2014
Junior subordinated notes, at fair value	$	0	$	0	$	13,048	$	13,048
CDO notes payable, at fair value		0		0		431,142		431,142
Derivative liabilities		0		28,098		53,900		81,998
Warrants and investor SARs		0		0		29,731		29,731
Total liabilities	$	0	$	28,098	$	527,821	$	555,919

(a) During the nine-month period ended September 30, 2014, there were no transfers between Level 1 and Level 2, as well as, there were no transfers into and out of Level 3.

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of December 31, 2013, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Assets:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance as of December 31, 2013
Trading securities
TruPS	$	0	$	0	$	480,845	$	480,845
Other securities		0		0		0		0
Available-for-sale securities		0		2		0		2
Security-related receivables
TruPS receivables		0		0		8,211		8,211
Unsecured REIT note receivables		0		33,046		0		33,046
CMBS receivables		0		44,118		0		44,118
Other securities		0		1,080		0		1,080
Derivative assets		0		1,305		0		1,305
Total assets	$	0	$	79,551	$	489,056	$	568,607

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance as of December 31, 2013
Junior subordinated notes, at fair value	$	0	$	0	$	11,911	$	11,911
CDO notes payable, at fair value		0		0		377,235		377,235
Derivative liabilities		0		45,926		67,405		113,331
Warrants and investor SARs		0		0		31,304		31,304
Total liabilities	$	0	$	45,926	$	487,855	$	533,781

(a) During the year ended December 31, 2013, there were no transfers between Level 1 and Level 2, as well as, there were no transfers into and out of Level 3.

Additional Information about Assets and Liabilities That Are Measured at Fair Value on Recurring Basis

The following tables summarize additional information about assets and liabilities that are measured at fair value on a recurring basis for which we have utilized level 3 inputs to determine fair value for the nine-month period ended September 30, 2014:

Assets	Trading Securities—TruPS and Subordinated Debentures		Security-Related Receivables—TruPS and Subordinated Debenture Receivables			Total Level 3 Assets
Balance, as of December 31, 2013	$	480,845	$	8,211		$	489,056
Change in fair value of financial instruments		9,093		(528	)		8,565
Purchases		0		0			0
Principal Repayments		0		0			0
Balance, as of September 30, 2014	$	489,938	$	7,683		$	497,621

Rollforward of Level 3 Liabilities

Liabilities	Derivative Liabilities			Warrants and investor SARs			CDO Notes Payable, at Fair Value			Junior Subordinated Notes, at Fair Value		Total Level 3 Liabilities
Balance, as of December 31, 2013	$	67,405		$	31,304		$	377,235		$	11,911	$	487,855
Change in fair value of financial instruments		(13,505	)		(15,314	)		72,162			1,137		44,480
Purchases		0			13,741			0			0		13,741
Sales		0			0			0			0		0
Principal repayments		0			0			(18,255	)		0		(18,255	)
Balance, as of September 30, 2014	$	53,900		$	29,731		$	431,142		$	13,048	$	527,821

Fair Value Hierarchy for Financial Instruments Not Fair Valued but For Which Fair Value Is Required To Be Disclosed

The following tables summarize the valuation technique and the level of the fair value hierarchy for financial instruments that are not fair valued in the accompanying consolidated balance sheets but for which fair value is required to be disclosed. The fair value of cash and cash equivalents, restricted cash, secured credit facilities and CMBS facilities approximates cost due to the nature of these instruments and are not included in the tables below.

						Fair Value Measurement
	Carrying Amount as of September 30, 2014		Estimated Fair Value as of September 30, 2014		Valuation Technique	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Commercial mortgages, mezzanine loans and other loans, net	$	1,354,120	$	1,283,719	Discounted cash flows	$	0	$	0	$	1,283,719
7.0% convertible senior notes		33,297		40,062	Trading price		40,062		0		0
4.0% convertible senior notes		133,752		134,308	Trading price		134,308		0		0
7.625% senior notes		60,000		57,624	Trading price		57,624		0		0
7.125% senior notes		71,905		71,013	Trading price		71,013		0		0
Junior subordinated notes, at amortized cost		25,100		14,648	Discounted cash flows		0		0		14,648
CDO notes payable, at amortized cost		1,084,289		919,924	Discounted cash flows		0		0		919,924
CMBS securitizations		215,518		215,527	Discounted cash flows		0		0		215,527
Loans payable on real estate		381,095		398,517	Discounted cash flows		0		0		398,517

						Fair Value Measurement
	Carrying Amount as of December 31, 2013		Estimated Fair Value as of December 31, 2013		Valuation Technique	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Commercial mortgages, mezzanine loans and other loans	$	1,122,377	$	1,083,118	Discounted cash flows	$	0	$	0	$	1,083,118
7.0% convertible senior notes		32,938		47,778	Trading price		47,778		0		0
4.0% convertible senior notes		116,184		124,063	Trading price		124,063		0		0
Junior subordinated notes, at amortized cost		25,100		14,007	Discounted cash flows		0		0		14,007
CDO notes payable, at amortized cost		1,202,772		724,885	Discounted cash flows		0		0		724,885
CMBS securitization		100,139		100,214	Discounted cash flows		0		0		100,214
Loans payable on real estate		171,244		176,979	Discounted cash flows		0		0		176,979

Summary of Realized and Unrealized Gains and Losses on Assets and Liabilities

The following table summarizes realized and unrealized gains and losses on assets and liabilities for which we elected the fair value option of FASB ASC Topic 825, “Financial Instruments” and derivatives as reported in change in fair value of financial instruments in the accompanying consolidated statements of operations:

	For the Three-Month Periods Ended September 30						For the Nine-Month Periods Ended September 30
Description	2014			2013			2014			2013
Change in fair value of trading securities and security-related receivables	$	2,386		$	(2,107	)	$	10,960		$	16,059
Change in fair value of CDO notes payable and trust preferred obligations		(23,961	)		(17,524	)		(73,294	)		(203,149	)
Change in fair value of derivatives		(702	)		(8,076	)		(12,413	)		(11,752	)
Change in fair value of warrants and investors SARs		12,054			3,048			15,314			(1,594	)
Change in fair value of financial instruments	$	(10,223	)	$	(24,659	)	$	(59,433	)	$	(200,436	)